Your example with the two strategies A and B is not exactly what I meant. I
talk about the cumulated drawdown of A *and* B at any given time. Suppose
you run 5 strategies concurrently and suddenly all 5 go short at more or
less the same time, and all lose money. Even when all strategies have a
drawdown of less that 500 over a certain period of time, the cumulated
drawdown could theoretically rise over 2000.
Im my opinion, in order to calculate the maximum number of contracts traded
to meet specific risk requirements, this possibility has to be taken into
account.
On Sunday, January 13, 2013 1:27:58 AM UTC+1, Eugene Kononov wrote:
>
>
>
>> Do you have an idea of the maximum draw down of your system while trading
>> all strategies simultaneously? From a risk management perspective, this
>> would be the figure to look at. Of course I could sum up all individual
>> draw downs but the actual maximum draw down is probably much less.
>>
>>
> I don't pay much attention to the Max DD metric. I think the entire
> measure is misleading. For example, consider two strategies, A and B, and
> here are the respective trades:
>
> A: {+200, -100, +200, -100, +200, -100, +200}
> B: {+200, -100, -100, -100, +200, +200, +200}
>
> Notice that the distribution of trades is exactly the same, and so are the
> profit factors, expectancy, net profit, standard deviation, and Kelly. The
> only thing that is different is Max DD, which is $100 for strategy A, and
> $300 for strategy B. Does that make strategy A better than strategy B? No,
> they are the same strategy where the sequence of trades is shuffled.
>
> In my optimization runs, I rely almost exclusively on the PI, and the CPI
> (which is a new performance measure, to be introduced in the next JBT
> release).
>
>
>
--
You received this message because you are subscribed to the Google Groups
"JBookTrader" group.
To view this discussion on the web visit
https://groups.google.com/d/msg/jbooktrader/-/9RcG5LM0wVEJ.
To post to this group, send email to [email protected].
To unsubscribe from this group, send email to
[email protected].
For more options, visit this group at
http://groups.google.com/group/jbooktrader?hl=en.
